Research Links on VIX and related ETFs

This post is more for me to have a place to store relevant research done by other people that would be useful for me to test. Right now, most of my effort is in trading the Volatility Risk Premium and Roll Yield using options on SPY/SPX and ETFs such as VXX/XIV etc.

There’s an interesting blog post here that has a couple algos on how to collect the VRP and RY. Their RY algo isn’t too impressive, which I’m hypothesizing is due to using a 5 day moving average – a lagged indicator – for an instrument that changes directions very quickly.

Another interesting post is this one, which plots a one-day VIX spike against its subsequent return following the spike. This information is quite useful to get an idea of what to expect out of the instruments that are tracking the index. In addition to what’s in the post, I will also perform some tests myself adding an extra level of granularity by conditioning on VIX levels.